Empirical Likelihood Based Inference for Categorical Varying Coefficient Panel Data Model with Fixed Effects
15.11.2019 11:15 – 12:15
RESEARCH CENTER FOR STATISTICS SEMINAR / ABSTRACT
In this paper local empirical likelihood-based inference for nonparametric categorical varying coefficient panel data models with fixed effects under cross-sectional dependence is investigated. First, we show that the naive empirical likelihood ratio is asymptotically standard chi-squared using a nonparametric version of the Wilk's theorem. The ratio is self-scale invariant and the plug-in estimate of the limiting variance is not needed. As a by product, we propose also a empirical maximum likelihood estimator of the categorical varying coefficient model and we obtain the asymptotic distribution of this estimator. We also illustrated the proposed technique in an application that reports estimates of strike activities from 17 OECD countries for the period 1951 - 1985.
Lieu
Bâtiment: Uni Mail
Bd du Pont-d'Arve 40
1205 Geneva
Room: M 5220, 5th floor
Organisé par
Faculté d'économie et de managementResearch Center for Statistics
Intervenant-e-s
Luis Antonio ARTEAGA MOLINA, Universidad Carlos III de Madrid, Spainentrée libre
Classement
Catégorie: Séminaire